Rule 6.02(a) talks about balks while a pitcher is touching the pitching rubber, without distinguishing between wind-up and set position. Rule 6.02(a)(4) allows what you describe; look at the comment that follows:

It is a balk when

(4) The pitcher, while touching his plate, throws, or feints a throw to an unoccupied base, except for the purpose of making a play;

Rule 6.02 (a)(4) Comment (Rule 8.05(d ) Comment): When determining whether the pitcher throws or feints a throw to an unoccupied base for the purpose of making a play, the umpire should consider whether a runner on the previous base demonstrates or otherwise creates an impression of his intent to
advance to such unoccupied base.